Sounds like you got a three way ( off Dim Bright ) switch. Nomally black is power in, blue is to the light.... The third wire would go to the extra fillament in the three way light bulb. You remember the bulbs with 25w/75w/100w markings ?

If this is what you bought then the switch SHOULD with the first pull connect the black to blue

Second pull connect black to red and

Third pull connect black to blue and red.

You can use it but it would be odd ( Pull on, pull off, pull off, pull on.).